^NBI vs. EFA
^NBI (NASDAQ Biotechnology Index) is an index, while EFA (iShares MSCI EAFE ETF) is Foreign Large Cap Equities fund tracking the MSCI EAFE Index (Net). Over the past 10 years, ^NBI returned 9.20%/yr vs 9.85%/yr for EFA. A 0.56 correlation means they provide meaningful diversification when combined.
Performance
^NBI vs. EFA - Performance Comparison
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Returns By Period
In the year-to-date period, ^NBI achieves a 10.03% return, which is significantly higher than EFA's 8.17% return. Over the past 10 years, ^NBI has underperformed EFA with an annualized return of 9.20%, while EFA has yielded a comparatively higher 9.85% annualized return.
^NBI
- 1D
- 1.52%
- 1M
- 6.58%
- YTD
- 10.03%
- 6M
- 7.46%
- 1Y
- 47.36%
- 3Y*
- 14.88%
- 5Y*
- 4.16%
- 10Y*
- 9.20%
EFA
- 1D
- -0.20%
- 1M
- -0.10%
- YTD
- 8.17%
- 6M
- 7.75%
- 1Y
- 20.13%
- 3Y*
- 16.55%
- 5Y*
- 8.40%
- 10Y*
- 9.85%
^NBI vs. EFA - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
^NBI NASDAQ Biotechnology Index | 10.03% | 32.40% | -1.37% | 3.74% | -10.91% | -0.63% | 25.69% | 24.41% | -9.32% | 21.06% |
EFA iShares MSCI EAFE ETF | 8.17% | 31.55% | 3.49% | 18.36% | -14.39% | 11.45% | 7.60% | 22.04% | -13.82% | 25.07% |
Correlation
The correlation between ^NBI and EFA is 0.51, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.51 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.55 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.56 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.55 |
Correlation (All Time) Calculated using the full available price history since Aug 17, 2001 | 0.56 |
The correlation between ^NBI and EFA has been stable across timeframes, ranging from 0.51 to 0.56 - a consistent structural relationship.
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Return for Risk
^NBI vs. EFA — Risk / Return Rank
^NBI
EFA
^NBI vs. EFA - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for NASDAQ Biotechnology Index (^NBI) and iShares MSCI EAFE ETF (EFA). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| ^NBI | EFA | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.06 | ||
| Sortino ratioReturn per unit of downside risk | +1.35 | ||
| Omega ratioGain probability vs. loss probability | 1.38 | 1.24 | +0.15 |
| Calmar ratioReturn relative to maximum drawdown | 5.63 | 1.77 | +3.86 |
| Martin ratioReturn relative to average drawdown | 17.94 | 6.60 | +11.34 |
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Drawdowns
^NBI vs. EFA - Drawdown Comparison
The maximum ^NBI drawdown since its inception was -74.70%, which is greater than EFA's maximum drawdown of -61.04%. Use the drawdown chart below to compare losses from any high point for ^NBI and EFA.
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Drawdown Indicators
| ^NBI | EFA | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -74.70% | -61.04% | -13.66% |
Max Drawdown (1Y)Largest decline over 1 year | -8.45% | -11.42% | +2.97% |
Max Drawdown (3Y)Largest decline over 3 years | -24.08% | -14.05% | -10.03% |
Max Drawdown (5Y)Largest decline over 5 years | -38.50% | -29.53% | -8.97% |
Max Drawdown (10Y)Largest decline over 10 years | -38.50% | -34.19% | -4.31% |
Current DrawdownCurrent decline from peak | 0.00% | -2.22% | +2.22% |
Average DrawdownAverage peak-to-trough decline | -26.55% | -11.91% | -14.64% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.65% | 3.06% | -0.41% |
Volatility
^NBI vs. EFA - Volatility Comparison
NASDAQ Biotechnology Index (^NBI) has a higher volatility of 6.98% compared to iShares MSCI EAFE ETF (EFA) at 5.30%. This indicates that ^NBI's price experiences larger fluctuations and is considered to be riskier than EFA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ^NBI | EFA | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 6.98% | 5.30% | +1.68% |
Volatility (6M)Calculated over the trailing 6-month period | 15.76% | 13.30% | +2.46% |
Volatility (1Y)Calculated over the trailing 1-year period | 20.28% | 15.64% | +4.64% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 22.01% | 16.58% | +5.43% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 23.35% | 17.03% | +6.32% |
Frequently Asked Questions
^NBI and EFA have a correlation of 0.51, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
^NBI has higher volatility (6.98%) compared to EFA (5.30%). In terms of maximum drawdown, ^NBI dropped -74.70% vs EFA's -61.04%.
^NBI currently has the higher Sharpe Ratio (2.36 vs 1.30), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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